Stats › Intraday en marktmicrostructuur › Treasury month-end
Treasury volume jumps 58% on the last day of the month and liquidity gets better, not worse
Average percentage increase in Treasury trading volume on the last trading day of the month against the same weekday in the two weeks before and after, all segments, 13 February 2023 to 13 June 2025. Overall the increase is about 58%, split 73% dealer to customer and 46% interdealer. No standard errors are reported.
Treasury volume on the last trading day of the month runs about 58% above normal, and off the run issues see about twice the increase of on the run. Liquidity improves rather than deteriorates: price impact is about 28% lower and quoted depth about 15% higher.
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